Motivation Model and Estimation Data Set

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Date: 2010-06-25 09:57:31 Stochastic volatility Volatility Heston model SVJ Autoregressive conditional heteroskedasticity Estimation theory Markov chain Normal distribution Mathematical finance Statistics Mathematical sciences		Motivation Model and Estimation Data Set Add to Reading List Source URL: www.fields.utoronto.ca Download Document from Source Website File Size: 692,86 KB Share Document on Facebook

	Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme Oleksandr Zhylyevskyy1 February 12, 2005 DocID: 1v1y6 - View Document
	A Supply and Demand Based Volatility Model for Energy Prices ° Takashi Kanamura, J-POWER CfC Commodities 2007 conference at Birkbeck College, University of London Jan. 18th, 2007 DocID: 1pgwO - View Document
	The derivation of the basic Black-Scholes options pricing equation follows from imposing the condition that a riskless por tfolio made up of stock and options must return the same interest rate as other riskless assets, DocID: 1otWf - View Document
	The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation Anthonie W. van der Stoepb,c∗ Lech A. Grzelakb,c Cornelis W. Oosterleea,c DocID: 1nABt - View Document
	C:rsceDataalpc4d27c6_5475_4d0d_a564_73a307c1e316.ps DocID: 1mYN1 - View Document